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The Forget-me-not Process

2020-02-05 | |  44 |   42 |   0

Abstract

 We introduce the Forget-me-not Process, an efficient, non-parametric metaalgorithm for online probabilistic sequence prediction for piecewise stationary, repeating sources. Our method works by taking a Bayesian approach to partitioning a stream of data into postulated task-specific segments, while simultaneously building a model for each task. We provide regret guarantees with respect to piecewise stationary data sources under the logarithmic loss, and validate the method empirically across a range of sequence prediction and task identification problems.

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